The differences in structure and thermal behavior of two Chinese bentonites (X-1 and J-1) are analyzed by thermogravimetry (TG), derivative thermogravimetry (DTG), differential scanning calorimetry (DSC), X-ray diffraction (XRD), and Fourier transform infrared (FT-IR) spectroscopy. The TG–DTG–DSC data indicated that two water molecular layers were present in the interlayer of the X-1 bentonite, but one water molecule layer in the interlayer of the J-1 bentonite. The mineralogy of the X-1 bentonite sample was determined as calcium montmorillonite, opal-CT (OCT), and quartz (Q), but that of the J-1 sample was determined as sodium montmorillonite, OCT, and Q. These results correspond to the TG–DTG–DSC data. The XRD and FT-IR spectra clearly show that the structural changes and dehydroxylation of these two bentonites occur when temperature is raised from 25 to 900 °C. The bentonite samples lose adsorbed and hydration water up to 300 °C, between 300 and 750 °C, and then the 2:1 layer structure completely collapses by rising the heating temperature from 25 to 900 °C. The dehydration is followed by the loss of intensity and evolution of the OH vibration bands and the change of interlayer spacing. The typical bands identified in the FT-IR spectra are similar for these two bentonites, but there are some differences in their positions and intensities. Dehydroxylation is followed by the decrease in intensity and position in the bands at 3620 and 910 cm−1, which is completed by 600 °C. The thermal behavior of these two bentonites was influenced by the impurities, ion substation, and the types of interlayer cations.